Montes-Rojas, Gabriel - In: Econometric Reviews 30 (2011) 2, pp. 154-172
This article constructs and evaluates Lagrange multiplier (LM) and Neyman's C(α) tests based on bivariate Edgeworth series expansions for the consistency of the Heckman's two-step estimator in sample selection models, that is, for marginal normality and linearity of the conditional expectation...